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Stable Paretian Models in Finance - Svetlozar T. (University of California) Rachev - Bog

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The authors reconsider the problem of parametrically specifying distribution suitable for asset--return models. They describe alternative distributions, showing how they can be estimated and applied to stock--index and exchange--rate data. The implications for options pricing are also investigated.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780471953142
  • Indbinding:
  • Hardback
  • Sideantal:
  • 896
  • Udgivet:
  • 25. april 2000
  • Størrelse:
  • 163x234x51 mm.
  • Vægt:
  • 1332 g.
  • Ukendt - mangler pt..

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  • BLACK NOVEMBER

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The authors reconsider the problem of parametrically specifying distribution suitable for asset--return models. They describe alternative distributions, showing how they can be estimated and applied to stock--index and exchange--rate data. The implications for options pricing are also investigated.

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